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Riesgo crediticio derivado del riesgo cambiario: Perspectiva de una Economía Latinoamericana Parcialmente Dolarizada
[Derivative credit risk from exchange risk: Perspective of a partially dollarized Latin American economy]

Listed author(s):
  • Jiménez Sotelo, Renzo

Traditional risk definitions, based on supervisor’s point of view, don’t behold explicitly the existence and interaction of other important risks such as derivative credit risks from other unsecured risk by debtors of bank system in economies partially “dollarized”. One of these critical risks is derivative credit risk from exchange risk, which hasn’t been stated directly in doctrine proposed by Basel Committee. This paper settles basic criteria to analyze this risk and describes the principal consequences of issuing debt in a different currency, over credit rating, provisions and the economic capital that must be assigned in the financial entities (whose customers debt show gap currency). These regulations encourage introducing as soon as possible aggressive mechanisms of global and quantitative management of risk into the financial system, non-existent in countries like Peru.

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File URL: https://mpra.ub.uni-muenchen.de/26836/1/MPRA_paper_26836.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 26836.

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Date of creation: 30 Apr 2003
Publication status: Published in Revista Apuntes 52 (2004): pp. 91-134
Handle: RePEc:pra:mprapa:26836
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  1. Nadeem Ul Haque & Manmohan S. Kumar & Nelson Mark & Donald J. Mathieson, 1996. "The Economic Content of Indicators of Developing Country Creditworthiness," IMF Staff Papers, Palgrave Macmillan, vol. 43(4), pages 688-724, December.
  2. Rossini Miñán, Renzo, 2001. "Aspectos de la adopción de un régimen de metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 7.
  3. Lama, Ruy, 2002. "Administración del riesgo cambiario en el sistema bancario peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 8, pages 155-181.
  4. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
  5. Jiménez Sotelo, Renzo, 2001. "Perú: Una economía estrangulada por el descalce entre la dolarización de los pasivos financieros y la solarización del poder adquisitivo de sus agentes económicos
    [Peru: An economy strangled by the
    ," MPRA Paper 26615, University Library of Munich, Germany, revised 31 Dec 2001.
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